Geodesic
Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)
Discussiones Mathematicae. Probability and Statistics, Tome 34 (2014) no. 1-2, pp. 113-126

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Structural change for the Koyck Distributed Lag Model is analyzed through the Bayesian approach. The posterior distribution of the break point is derived with the use of the normal-gamma prior density and the break point, ν, is estimated by the value that attains the Highest Posterior Probability (HPP). Simulation study is done using R.
Keywords: distributed lag model, posterior distribution, break point 
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Sumobay, Arvin; Supe, Arnulfo. Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme). Discussiones Mathematicae. Probability and Statistics, Tome 34 (2014) no. 1-2, pp. 113-126. http://geodesic.mathdoc.fr/item/DMPS_2014_34_1-2_a7/